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Cryptocurrencies and the Low Volatility Anomaly
16 references·0 citing·32 second hop
Cryptocurrencies and the Low Volatility Anomaly (2020)Cryptocurrencies and the Low Volatility A…The inefficiency of Bitcoin revisited: A dynamic approach (2017)The inefficiency of Bitcoin r…The Inefficiency of Bitcoin (2016)The Inefficiency of BitcoinBitcoin, gold and the dollar – A GARCH volatility analysis (2015)Bitcoin, gold and the dollar …Betting against beta (2013)Betting against betaBenchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly (2010)Benchmarks as Limits to Arbit…Who Gambles in the Stock Market? (2009)Who Gambles in the Stock Mark…Stocks as Lotteries: The Implications of Probability Weighting for Security Prices (2008)Stocks as Lotteries: The Impl…High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)High idiosyncratic volatility…All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)All That Glitters: The Effect…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Fads, Martingales, and Market Efficiency (1990)Fads, Martingales, and Market…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…The relationship between return and market value of common stocks (1981)The relationship between retu…Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)Capital Market Equilibrium with Restricted Borrowing (1972)Risk, Return, and Equilibrium: Empirical Tests (1973)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)Advances in prospect theory: Cumulative representation of uncertainty (1992)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Illiquidity and stock returns: cross-section and time-series effects (2002)Judgment under Uncertainty: Heuristics and Biases (1974)Differences of Opinion and the Cross Section of Stock Returns (2002)An Engine, Not a Camera (2006)Information Uncertainty and Stock Returns (2006)Prospect theory: An analysis of decision under risk (1988)Media Coverage and the Cross‐section of Stock Returns (2009)In Search of Attention (2011)The Noise Trader Approach to Finance (1990)Do Industries Explain Momentum? (1999)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Dissecting Anomalies with a Five-Factor Model (2015)Replicating Anomalies (2018)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
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  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
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  • 2008Stocks as Lotteries: The Implications of Probability Weighting for Security Prices1,548 cited
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  • 2016The Inefficiency of Bitcoin1,292 cited
  • 2010Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly

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  • 2017The inefficiency of Bitcoin revisited: A dynamic approach615 cited
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